// declare the dialog as a member field of your activity
ProgressDialog mProgressDialog;
// instantiate it within the onCreate method
mProgressDialog = new ProgressDialog(YourActivity.this);
mProgressDialog.setMessage("A message");
mProgressDialog.setIndeterminate(true);
mProgressDialog.setProgressStyle(ProgressDialog.STYLE_HORIZONTAL);
mProgressDialog.setCancelable(true);
// execute this when the downloader must be fired
final DownloadTask downloadTask = new DownloadTask(YourActivity.this);
downloadTask.execute("the url to the file you want to download");
mProgressDialog.setOnCancelListener(new DialogInterface.OnCancelListener() {
@Override
public void onCancel(DialogInterface dialog) {
downloadTask.cancel(true);
}
});

// initialize the progress dialog like in the first example
// this is how you fire the downloader
mProgressDialog.show();
Intent intent = new Intent(this, DownloadService.class);
intent.putExtra("url", "url of the file to download");
intent.putExtra("receiver", new DownloadReceiver(new Handler()));
startService(intent);